Portfolio
ridgeRidge no sector· rebalanceo 2020-05-29
Run
LGBM long only1.72LGBM 126d fundamental flexible 50 long only uncapped1.36LGBM 126d fundamental flexible 50 uncapped1.20LGBM 126d fundamental flexible uncapped0.96LGBM 126d fundamental flexible 50 sector450.96LGBM short filter0.81LGBM 126d flexible 50 beta600.81LGBM 126d fundamental flexible sector450.79LGBM 126d fundamental flexible0.64LGBM 126d flexible 50 beta400.51LGBM0.29LGBM buffer-0.04LGBM macro-0.26Ridge macro-0.33Ridge-0.33LGBM dual tail macro-0.37Ridge no sector-0.38LGBM 126d sector market cap 25 25-0.45LGBM beta neutral buffer-0.50LGBM dual tail-0.62LGBM no sector-0.71LGBM 126d—LGBM 21d—LGBM 252d—
Línea temporal
72 rebalanceosSnapshot (histórico)
Long book
15
gross 50.0%
Short book
15
gross -50.0%
Sectores cubiertos
10
30 posiciones
Sortino del run
-0.38
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
9.90%
Short avg
7.81%
bajar = bueno para el short
Spread long − short
2.09%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | NRG | NRG Energy, Inc. | Utilities | 0.170 | 3.33% | -4.23% |
| 2 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.144 | 3.33% | 28.00% |
| 3 | MA | Mastercard Incorporated | Financial Services | 0.139 | 3.33% | 19.58% |
| 4 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | 0.138 | 3.33% | 23.12% |
| 5 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | 0.124 | 3.33% | 2.29% |
| 6 | PM | Philip Morris International Inc. | Consumer Defensive | 0.123 | 3.33% | 10.58% |
| 7 | YUM | Yum! Brands, Inc. | Consumer Cyclical | 0.114 | 3.33% | 7.86% |
| 8 | MSCI | MSCI Inc. | Financial Services | 0.112 | 3.33% | 11.04% |
| 9 | DXC | DXC Technology Company | Technology | 0.103 | 3.33% | 33.14% |
| 10 | CINF | Cincinnati Financial Corporation | Financial Services | 0.103 | 3.33% | 30.83% |
| 11 | SLB | SLB N.V. | Energy | 0.100 | 3.33% | 5.89% |
| 12 | COTY | Coty Inc. | Consumer Defensive | 0.099 | 3.33% | -16.83% |
| 13 | MXIM | Maxim Integrated Products, Inc. | Technology | 0.095 | 3.33% | 19.36% |
| 14 | PSA | Public Storage | Real Estate | 0.094 | 3.33% | 5.17% |
| 15 | OKE | ONEOK, Inc. | Energy | 0.092 | 3.33% | -27.37% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | NEM | Newmont Corporation | Basic Materials | -0.257 | -3.33% | 10.21% |
| 2 | DXCM | DexCom, Inc. | Healthcare | -0.169 | -3.33% | 10.10% |
| 3 | DVA | DaVita Inc. | Healthcare | -0.154 | -3.33% | 7.90% |
| 4 | GEN | Gen Digital Inc. | Technology | -0.143 | -3.33% | 11.38% |
| 5 | WST | West Pharmaceutical Services, Inc. | Healthcare | -0.116 | -3.33% | 24.76% |
| 6 | CI | Cigna Corporation | Healthcare | -0.112 | -3.33% | -8.94% |
| 7 | FTNT | Fortinet, Inc. | Technology | -0.109 | -3.33% | -10.17% |
| 8 | ODFL | Old Dominion Freight Line, Inc. | Industrials | -0.105 | -3.33% | 17.68% |
| 9 | LDOS | Leidos Holdings, Inc. | Technology | -0.104 | -3.33% | -14.56% |
| 10 | CVS | CVS Health Corporation | Healthcare | -0.103 | -3.33% | -3.01% |
| 11 | KR | The Kroger Co. | Consumer Defensive | -0.101 | -3.33% | 8.80% |
| 12 | ATVI | Activision Blizzard, Inc. | Technology | -0.099 | -3.33% | 13.10% |
| 13 | CAG | Conagra Brands, Inc. | Consumer Defensive | -0.090 | -3.33% | 10.03% |
| 14 | BIIB | Biogen Inc. | Healthcare | -0.088 | -3.33% | -6.86% |
| 15 | AMD | Advanced Micro Devices, Inc. | Technology | -0.088 | -3.33% | 46.70% |
Sector exposure en el rebalanceo seleccionado
2020-05-29| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 6.7% | 16.7% | -10.00% | 2 | 5 |
| Healthcare | 0.0% | 20.0% | -20.00% | 0 | 6 |
| Consumer Defensive | 6.7% | 6.7% | 0.00% | 2 | 2 |
| Financial Services | 13.3% | 0.0% | 13.33% | 4 | 0 |
| Consumer Cyclical | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Energy | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Industrials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Real Estate | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Utilities | 3.3% | 0.0% | 3.33% | 1 | 0 |